Moderate Deviation for Maximum Likelihood Estimator in the Parabolic Stochastic Partial Differential Equations Driven by Additive Fractional Brownian Motion
Cui Ruwei, Jiang Hui
Department of Mathematics, Nanjing University of Aeronautics and Astronautics
In this article, using the limit theory of martingales, we study the
moderate deviation for maximum likelihood estimator of unknown parameter in the stochastic
partial differential equation driven by additive fractional Brownian motion with Hurst
parameter , and the rate function can be calculated. Moreover, we apply our
main result to several examples.
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Cui Ruwei, Jiang Hui. Moderate Deviation for Maximum Likelihood Estimator in the Parabolic Stochastic Partial Differential Equations Driven by Additive Fractional Brownian Motion. CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST, 2015, 31(6): 572-581.
